Rights statement: This is the peer reviewed version of the following article: Mamatzakis, E., & Tsionas, M. (2023). Correcting for productivity growth misspecification: A local likelihood estimation in global banking. International Journal of Finance & Economics, 1– 17. https://doi.org/10.1002/ijfe.2780 which has been published in final form at https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2780 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Accepted author manuscript, 741 KB, PDF document
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Correcting for productivity growth misspecification
T2 - A local likelihood estimation in global banking
AU - Mamatzakis, Emmanuel
AU - Tsionas, Mike
N1 - This is the peer reviewed version of the following article: Mamatzakis, E., & Tsionas, M. (2023). Correcting for productivity growth misspecification: A local likelihood estimation in global banking. International Journal of Finance & Economics, 1– 17. https://doi.org/10.1002/ijfe.2780 which has been published in final form at https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2780 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
PY - 2023/1/24
Y1 - 2023/1/24
N2 - Decomposing firm productivity has been challenging for some time. We propose a flexible functional form for total factor productivity that treats misspecification and endogeneity. The model also treats heteroscedasticity. Our productivity measure nests both the input distance function and output distance function. We provide details of a novel Local Likelihood estimation, a non-parametric technique, to estimate productivity which also has excellent finite-sample properties. In an empirical application, we measure bank productivity at the global level. Results show that productivity is correctly identified, and the flexibility of our methodology allows to estimate the impact of equity and nonperforming loans on bank productivity. Technology has positively contributed to productivity. However, nonperforming loans, bank risk-taking and raising capital have had the opposite effect.
AB - Decomposing firm productivity has been challenging for some time. We propose a flexible functional form for total factor productivity that treats misspecification and endogeneity. The model also treats heteroscedasticity. Our productivity measure nests both the input distance function and output distance function. We provide details of a novel Local Likelihood estimation, a non-parametric technique, to estimate productivity which also has excellent finite-sample properties. In an empirical application, we measure bank productivity at the global level. Results show that productivity is correctly identified, and the flexibility of our methodology allows to estimate the impact of equity and nonperforming loans on bank productivity. Technology has positively contributed to productivity. However, nonperforming loans, bank risk-taking and raising capital have had the opposite effect.
KW - global banking
KW - local likelihood estimation
KW - misspecification
KW - productivity
U2 - 10.1002/ijfe.2780
DO - 10.1002/ijfe.2780
M3 - Journal article
VL - 29
SP - 2300
EP - 2316
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
SN - 1076-9307
IS - 2
ER -